Goldman Sachs plans contingent coupon notes linked to dollar vs. euro

By Marisa Wong

Madison, Wis., Dec. 8 – Goldman Sachs Group, Inc. plans to price 0% contingent coupon currency-linked notes tied to the dollar relative to the euro, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are expected to have a term of 36 to 40 months.

The currency return will be positive if the final exchange rate is less than the initial exchange rate, which means it will take fewer dollars to purchase one euro at the final exchange rate compared to the initial rate.

For each annual coupon payment date, the notes will pay an amount equal $20.00 to $23.50 for each $1,000 principal amount if the coupon exchange rate for the applicable coupon observation date is less than or equal to the initial rate. Otherwise, the coupon will be zero.

The coupon exchange rate is the average of the levels of the dollar per euro exchange rate on each of the five consecutive business days prior to and including the applicable coupon observation date.

If the currency return is positive or zero, the payout at maturity will be par plus the currency return.

If the currency return is negative, the payout will be the greater of the minimum settlement amount of $900 and par plus the currency return.

Goldman Sachs & Co. is the underwriter.

The notes are expected to price in December.

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